A sparse enhanced indexation model with chance and cardinality constraints (Q683716): Difference between revisions

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+https://doi.org/10.1007/s10898-017-0513-1
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+W2603509121
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+Q4782130
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+An evolutionary heuristic for the index tracking problem.
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+Computational Science – ICCS 2005
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+Robust tracking error portfolio selection with worst-case downside risk measures
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+Mixed-integer programming approaches for index tracking and enhanced indexation
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+Enhanced indexation based on second-order stochastic dominance
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+Exact Penalization, Level Function Method, and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints
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